The Most Detailed Forensic Analysis Of The Flash Crash To Date (And Likely Ever)

Tyler Durden's picture

Our friends at Nanex have completed a full forensic analysis of the flash crash, on a tick for tick basis, between the fateful times of 14:42pm and 14:52pm on May 6. Under permission directly from Nanex, we present to you a fascinating and fully interactive chart, which is the bast to date analysis of everything that transpired during the flash crash. On the chart below (after the jump), every underlined component is a hyperlinked module with extensive detail associated to any one individual fragment of the flash crash. As Nanex, demonstrates, the key catalysts commence at 14:42:43.600 with a bout of quote saturation, move on promptly to heavy selling in the ES, and concludes at 14:42:44.100 with heavy selling of the SPY, QQQQ and all ETFs immediately following. It is all downhill from there.

Nanex has compiled a truly extensive amount of data in the chart, starting with data on slow quote/bid mode on the NYSE's Liquidity Replenishment Points, Stub Trades, the delay for GE on the CQS, the overall CQS quote rate, as well as the actual trade rate.

There is much more, and we leave it up to readers to discover all the nuances of the Flash Crash that will be very much absent from the SEC's report which will do oh so very much to restore credibility.

Full interactive chart after the jump (as a reminder all the underlined objects in the chart are hyperlinks):

Used with direct permission from Nanex